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| Author: | Anderson, G. Fletcher, J. Marshall, A. |
| Title: | Performance evaluation of dynamic trading strategies in UK stock returns incorporating lagged conditioning information |
| Journal: | European Journal of Finance
2011 : JAN-FEB, VOL. 17: 1-2, P.67-82 |
| Index terms: | stock returns strategy lag models United Kingdom |
| Freeterms: | dynamic trading strategy mean-variance analysis |
| Language: | eng |
| Abstract: | The author evaluates the performance of the optimal mean-variance portfolio decision when lagged conditioning information is included in the investment universe and finds with that including lagged conditioning information into the optimal mean-variance portfolio decision can add economic wealth and the lagged market excess returns instrument has the greatest impact on the portfolio decision. |
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